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Frequently asked questions

Find answers to your questions and how to get access to Term CORRA.
What is Term CORRA?

Answer: The Term CORRA Rates benchmark is a daily set of forward-looking interest rate estimates, calculated and published for 1-month and 3-month tenors. Term CORRA Rates are:

What data is used in the calculation of Term CORRA?
Answer: Currently, we use transaction and executable bid data from three consecutive COA futures (1-month Montreal Exchange CORRA futures contracts) and two consecutive quarterly CRA futures (3-month Montreal Exchange CORRA futures contracts).
How are Term CORRA Rates calculated?

Answer: A set of Volume Weighted Average Prices (VWAP) are calculated using executed transaction prices and executable bids observed during several observation intervals taken over a two-hour interval from 10:00 and 12:00 EST (Eastern Standard Time). These are then used in a projection model to determine Term CORRA Rates. Full details of the calculation methodology are available in Resources.

When are Term CORRA Rates published?
Answer: Term CORRA Rates will be calculated for each day the Bank of Canada calculates and publishes CORRA, in accordance with the recommended Bank of Canada holiday schedule. There will be no data sampling, calculation, or publication on a Bank of Canada holiday.
Publication of the Term CORRA rates will occur on each day at 1:00 pm EST (Eastern Standard Time).
How can I access the Term CORRA information?
Answer: Term CORRA is available via TMX Datalinx.

Term CORRA Rates can also be viewed on the Benchmark Solutions page. Use of any information accessed on CanDeal Benchmark Solutions website is limited to "view only", in accordance with CanDeal Benchmark Solutions Terms of Use.